In recent years, preventive maintenance has emerged as a focal point of research in the aerospace field. The concept of equipment maintenance, exemplified by prognosis and health management (PHM), has permeated every aspect of development and design. Extracting degradation features presents a fundamental and challenging task for health assessment and remaining useful life prediction. To facilitate the efficient operation of the incipient fault diagnosis model, this paper proposes a data-driven feature extraction process for converters, which consists of two main stages. First, feature extraction and comparison are conducted in the time domain, frequency domain, and time–frequency domain. By employing wavelet decomposition and the Hilbert transform method, a highly correlated time–frequency domain feature is obtained. Second, an improved feature selection approach that combines the ReliefF algorithm with the correlation coefficient is proposed to effectively minimize redundancy within the feature subset. Furthermore, an incipient fault diagnosis model is established using neural networks, which verifies the effectiveness of the data-driven feature extraction process presented herein. Experimental results indicate that this method not only maintains fault diagnosis accuracy but also significantly reduces training time.